Results 211 to 220 of about 842,985 (247)

Stochastic Dominance on Unidimensional Grids

Mathematics of Operations Research, 1995
Special stochastic-dominance relations for probability distributions on a finite grid of evenly-spaced points are considered. The relations depend solely on iterated partial sums of grid-point probabilities and are very computer efficient. Their corresponding classes of utility functions for expected-utility comparisons consist of functions defined on
Peter C. Fishburn, Irving H. Lavalle
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Operational asymptotic stochastic dominance

European Journal of Operational Research, 2020
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Rachel J. Huang, Larry Y. Tzeng, Jr-Yan Wang, Lin Zhao 0014   +3 more
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Stochastic dominance and optimal portfolio [PDF]

Economics Letters, 2001
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K. Dachraoui, G. Dionne
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Standard Stochastic Dominance

European Journal of Operational Research, 2014
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Stochastic Dominance and Moment Inequalities

Mathematics of Operations Research, 1984
For any distribution function (df) F, define F1 = F and Fn+1 (x) = ∫−∞x Fn(y) dy. For two df's F and G, we obtain a relationship between the behaviour of Gn(x) − Fn(x) for large x and certain inequalities involving the moments of F and G. In particular, we generalize Fishburn's theorem, which deduces such inequalities from the condition that Gn(x ...
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METRIZATION OF STOCHASTIC DOMINANCE RULES [PDF]

International Journal of Theoretical and Applied Finance, 2012
We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure.
Stoyanov, S. V., Rachev, S. T., Fabozzi, F. J.   +2 more
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Aspects of optimization with stochastic dominance

Annals of Operations Research, 2016
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William B. Haskell 0001, J. George Shanthikumar, Zuo-Jun Max Shen   +2 more
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Stochastic dominance with nonadditive probabilities

ZOR Zeitschrift f�r Operations Research Methods and Models of Operations Research, 1993
Summary: Choquet expected utility which uses capacities (i.e. nonadditive probability measures) in place of \(\sigma\)-additive probability measures has been introduced to decision making under uncertainty to cope with observed effects of ambiguity aversion like the Ellsberg paradox.
Rainer Dyckerhoff, Karl Mosler
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Prospect and Markowitz stochastic dominance [PDF]

Annals of Finance, 2005
Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend Levy and Levy's Prospect Stochastic Dominance theory (PSD) and Markowitz Stochastic Dominance theory (MSD) to the first three orders and link the corresponding S-shaped ...
Wing-Keung Wong, Raymond Honfu Chan
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Stochastic Dominance of Pension Plans

Metroeconomica, 2003
We compare different possibilities to reform a funded pension plan, whose balance is threatened by a decrease in mortality rates. Since the plan is mandatory, the welfare of employees might be reduced if contributions increase or if the retirement age is raised. An empirical study of Israeli data shows that a reform which decreases the pension benefits
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